Los beneficios de la inversión socialmente responsable en el desempeño de fondos de pensiones mexicanos

Abstract

Resumen:En el presente artículo se simula el SIEFOREs,el invertir su componente de renta variable socialmente responsables, mismas sustentable (IPCS). Para lograr CONSAR y se recalculó el IPCS a enero de 2004 con el método de capita índice como insumo, se simuló el es emplear el IPCS, el IPCcomp y el IPC maximiza el índice de Sharpe acciones en el IPCS,las SIEFOREs no pierden desempeño logrado ya seacon que si una SIEFORE utilizara el IPCS durante periodos de alta volatilidad emplear los otros dos índices Clasificación JEL: C580, G11, G170, G23. Palabras clave: ModelosMarkovianos de cambio de régimen, Diversi portafolios, Simulación y pronóstico The benefits of Socially Responsible Investment in the performance of Mexican Abstract:In the present paper we simulate the impact of investing in socially responsible stocks (members of the IPC sustainable index or IPCS) in Mexican pension funds or SIEFOREs. In order to do this, we used the authorized investment policy by CONSAR and we recalculated the IPCS index from January 2004 by using the market cap method. With this recalculated index we simulated the performance of three SIEFOREs that invest their Mexican equity proceedings either in the IPCS, the IPCcomp or the IPC index. Our results show a sound mean-variance efficiency if the SIEFOREs invest in the IPCS index only. We se simula el impacto que tiene,en la política de su componente de renta variable nacional en acciones socialmente responsables, mismas que formen parte del índice de precios y cotizaciones sustentable (IPCS). Para lograr esto, se empleó la política de inversión autorizada por la CONSAR y se recalculó el IPCS a enero de 2004 con el método de capita se simuló el comportamiento de tres SIEFOREs cuya única diferencia IPCcomp y el IPC en un portafolio de mínima varianza y otro que maximiza el índice de Sharpe. Los resultados observan que, al invertir las SIEFOREs no pierden eficiencia media-varianza, respecto al con el IPC o elIPCcomp.De manera complementaria se aprecia que si una SIEFORE utilizara el IPCS en un portafolio que maximice el índice de Sharpe periodos de alta volatilidad, el desempeño del mismoes mayor dos índices.n JEL: C580, G11, G170, G23. losMarkovianos de cambio de régimen, Diversificación, Sel n y pronósticofinanciero, Inversiónsocialmenteresponsable. The benefits of Socially Responsible Investment in the performance of Mexican pension funds.we simulate the impact of investing in socially responsible stocks (members of the IPC sustainable index or IPCS) in Mexican pension funds or SIEFOREs. In order to do this, we used the authorized investment policy by CONSAR and we dex from January 2004 by using the market cap method. With this recalculated index we simulated the performance of three SIEFOREs that invest their Mexican equity proceedings either in the IPCS, the IPCcomp or the IPC index. Our results ariance efficiency if the SIEFOREs invest in the IPCS index only. We a y Ciencias Administrativas, Universidad Michoacana de San e Hidalgo Ave. Francisco J. Mújica S/N Edificio AII Col...

Efficiency of the Public Pensions Funds on the Socially Responsible Equities of Mexico

“…As a potential source of difference among the indexes that invested in the IPCS vs. the ones that invested in the IPC, is the fact that the base year in which De la Torre and Macias [5] recalculated the The same result, but with slightly wider differences in the short-term, is noted for SB4s (aggressive indexes) in the lower panel of Figure 2. The fluctuation of the SB4 that invested in the IPCS index was wider than the previously simulated ones.…”

“…As noted, there is a lot of literature about the performance of SRI against the conventional or sinful one, but little has been written about the benefits of SRI in the performance of pension fund plans. Only Hongbo, Mitchell, and Piggott [36] have tested whether there is an impact in risk exposure if SRI is included in Japanese pension funds and De la Torre and Macias [5] performed a first test in the Mexican public funds (a test that we extend here). Their results showed that there is a positive contribution to portfolio performance with the use of the IPCS compared with the use of the IPC and IPCcomp, respectively.…”

“…In the present work, we extend the test of De la Torre and Macias [5] by measuring the benefits of the investment policy of the S&P/BMV Mexico target risk indices that try to replicate the performance of the authorized investment policy of the SIEFOREs. This is done in a more simplified asset universe of only stocks and fixed income assets.…”

“…Until now, there has only been one study [5] that has measured the benefit of SRI in the Mexican SIEFOREs, but this test was made in a theoretical minimum variance and in a Max Sharpe portfolio, given the investment policy of Table 1. In this review, the authors test an investment policy with Mexican and international debt and stocks along with commodities, but their performance is not referenced or linked to the performance of a well-known, public and testable performance benchmark of the SIEFORES, a benchmark that does not exist nowadays in Mexico.…”

“…This last assumption will not be tested here, given the perspective of the present work. Departing from this issue and contrary to De la Torre and Macias [5], who use their own theoretical portfolios, we will use the investment policy of the aforementioned target risk indexes to simulate the impact of SRI in the investment policy of the four types of SIEFOREs (SB1, SB2, SB3, and SB4). Source: Own elaboration based on S&P Dow Jones indices LLC [6].…”